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Cryptocurrency Market Dynamics: Copula Analysis of Return and Volume Tails

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  • Giovanni De Luca

    (Department of Management and Quantitative Studies, University of Naples Parthenope, Via G. Parisi 13, 80132 Naples, Italy)

  • Andrea Montanino

    (Department of Economic and Legal Studies, University of Naples Parthenope, Via G. Parisi 13, 80132 Naples, Italy)

Abstract

This paper investigates the dependence structure between returns and trading volumes for five major cryptocurrencies: Bitcoin, Cardano, Ethereum, Litecoin, and Ripple. Using a copula-based framework, we focus on a mixture of the Joe copula and its 90-degree rotation to capture asymmetric relationships, especially in the tails of the distribution. Our findings reveal significant upper and lower–upper tail dependencies, suggesting that extreme trading volumes are associated with both positive and negative return extremes. The results confirm a nonlinear and asymmetric volume–return relationship, which traditional linear models fail to capture.

Suggested Citation

  • Giovanni De Luca & Andrea Montanino, 2025. "Cryptocurrency Market Dynamics: Copula Analysis of Return and Volume Tails," Risks, MDPI, vol. 13(9), pages 1-13, September.
    • Handle: RePEc:gam:jrisks:v:13:y:2025:i:9:p:168-:d:1740257
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